Reconstruction of the modified discrete Langevin equation from persistent time series
Reconstruction of the modified discrete Langevin equation from persistent time series
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DOI：
10.1063/1.4951683
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发表时间：
2016-05-01
期刊：
影响因子：
2.9
通讯作者：
Czechowski, Zbigniew
中科院分区：
文献类型：
--
作者：
Czechowski, Zbigniew
引入了描述持续过程的离散朗之万型方程。提出了从时间序列重建方程的过程，并在由不同朗之万方程生成的具有短尾和长尾分布的合成数据上进行了测试。得出了由于有限采样率而产生的修正。对于示例性气象时间序列，重建了适当的朗之万方程，该方程构成了该现象的随机宏观模型。由 AIP 出版社出版。
The discrete Langevin-type equation, which can describe persistent processes, was introduced. The procedure of reconstruction of the equation from time series was proposed and tested on synthetic data, with short and long-tail distributions, generated by different Langevin equations. Corrections due to the finite sampling rates were derived. For an exemplary meteorological time series, an appropriate Langevin equation, which constitutes a stochastic macroscopic model of the phenomenon, was reconstructed. Published by AIP Publishing.